Lamperti transformation for continuous-state branching processes with competition and applications

Rugang Ma

Statistics & Probability Letters, 2015, vol. 107, issue C, 11-17

Abstract: The Lamperti transformation is established between continuous-state branching processes (CB-processes) with competition and strong solutions of a certain type of stochastic equations driven by Lévy processes without negative jumps. Using this result we study the maximal jumps of CB-processes with competition. In particular, we obtain the distributions of the maximal jumps of CB-processes and logistic branching processes.

Keywords: Lamperti transformation; Continuous-state branching process; Competition; Stochastic equation (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.spl.2015.07.038

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